Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0151
Annualized Std Dev 0.4079
Annualized Sharpe (Rf=0%) 0.0369

Row

Daily Return Statistics

Close
Observations 3630.0000
NAs 1.0000
Minimum -0.1914
Quartile 1 -0.0118
Median 0.0009
Arithmetic Mean 0.0004
Geometric Mean 0.0001
Quartile 3 0.0126
Maximum 0.2294
SE Mean 0.0004
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0012
Variance 0.0007
Stdev 0.0257
Skewness -0.1037
Kurtosis 7.6794

Downside Risk

Close
Semi Deviation 0.0184
Gain Deviation 0.0182
Loss Deviation 0.0193
Downside Deviation (MAR=210%) 0.0227
Downside Deviation (Rf=0%) 0.0182
Downside Deviation (0%) 0.0182
Maximum Drawdown 0.8583
Historical VaR (95%) -0.0373
Historical ES (95%) -0.0608
Modified VaR (95%) -0.0386
Modified ES (95%) -0.0621
From Trough To Depth Length To Trough Recovery
2008-05-19 2016-01-25 NA -0.8583 3233 1935 NA
2007-07-13 2007-08-16 2007-09-18 -0.2374 47 25 22
2007-12-11 2008-01-23 2008-02-22 -0.2163 50 29 21
2007-10-30 2007-11-26 2007-12-07 -0.1200 28 19 9
2008-02-29 2008-03-10 2008-04-04 -0.1143 25 7 18

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA 0 -0.8 -0.7 -1.5
2007 1.2 -1 -0.3 -0.3 2.7 0.4 0.1 3.3 3.6 -5 1.9 -1.3 5.1
2008 5.3 -4.7 3.4 -1 1.6 -3.6 -4.1 -0.6 -3.3 -0.9 -14.8 1.8 -20.2
2009 -4.5 -2 6.5 5.6 6.8 0.4 2 -2.9 -4.7 -4.3 2.6 -1 3.5
2010 6 2.2 2.4 -2.7 -4.1 0.2 -0.2 5.4 1.4 0.6 3.6 0.2 15.5
2011 2.9 -2.5 0.4 0.8 -2.7 1.7 -0.9 -1.5 -4.1 -3.6 -0.4 0.8 -9
2012 2.5 1.6 0.2 1.1 -2.4 4.9 0 1.4 0.5 3.8 -0.5 2.7 16.7
2013 1.6 -1.8 -1.4 -1.9 -3 1.2 1.1 -1 0.4 1.5 1.4 0.3 -1.8
2014 -0.6 -0.8 0.3 -0.2 -2.1 0.7 -0.6 0.6 -2.6 2.1 -2.1 -0.7 -5.9
2015 0.4 -0.1 -1 1.4 -0.8 -0.6 -0.5 -3.9 0.5 1.4 0.4 -0.8 -3.5
2016 -0.9 3.9 1.3 0.9 0.2 2.7 -1.8 0.6 0.7 -1.4 -0.3 -2 3.8
2017 0.8 3.3 0 0.5 0.2 1.1 -1.3 2.2 1.2 0.8 0 -0.5 8.3
2018 0.3 1.1 3.5 -1.2 1.7 0.2 -1.2 0.6 0.5 2.3 0.1 0.1 8.5
2019 -1.3 0.4 3.4 -2.3 -2 0.8 -3.2 1.2 -1.4 4.3 -1.3 0.1 -1.5
2020 -3.1 -1.3 -4 -3.3 1.7 -1.7 -1.9 2.4 0.8 -0.4 4.5 -0.6 -7.1
2021 3.2 4.4 0 NA NA NA NA NA NA NA NA NA 7.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-10-16  42.7 SPY    137.  0.0015   0.013    0.037    0.104     0.153    0.303    0.252 GLD    59.2  0.0102   0.0344
2 2006-10-17  42.2 SPY    136. -0.0031   0.0084   0.0323   0.0853    0.145    0.294    0.240 GLD    58.6 -0.0088   0.0289
3 2006-10-18  42.1 SPY    137.  0.0013   0.011    0.0363   0.0942    0.159    0.310    0.269 GLD    58.6 -0.001    0.0301
4 2006-10-19  42.7 SPY    137.  0.0016   0.0039   0.0325   0.104     0.142    0.302    0.274 GLD    59.4  0.014    0.0334
5 2006-10-20  42.4 SPY    137.  0.0002   0.0015   0.0377   0.0842    0.163    0.305    0.275 GLD    58.8 -0.0106   0.0036
6 2006-10-23  42.7 SPY    137.  0.0046   0.0046   0.0456   0.0853    0.164    0.328    0.256 GLD    57.8 -0.0174  -0.0238
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart